Differentiability of functionals of Poisson processes via coupling. With applications to queueing theory

DOI10.1016/S0304-4149(98)00101-XzbMath0962.60087MaRDI QIDQ1593639

Volker Schmidt, Sven Hasenfuss, François Baccelli

Publication date: 17 January 2001

Published in: Stochastic Processes and their Applications (Search for Journal in Brave)

zbMATH Keywords

perturbation analysisqueueing theoryadmissibilityRadon-Nikodym derivativesfactorial moment measures

Mathematics Subject Classification ID

Queueing theory (aspects of probability theory) (60K25) Queues and service in operations research (90B22) Point processes (e.g., Poisson, Cox, Hawkes processes) (60G55)

Related Items (3)

Analytic expansions of max-plus Lyapunov exponents. ⋮ Monte Carlo methods for sensitivity analysis of Poisson-driven stochastic systems, and applications ⋮ Expansion formulae for characteristics of cumulative cost in finite horizon production models

Cites Work

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• Expansions for steady-state characteristics of (max, +)-linear systems
• Light-traffic approximations for Markov-modulated multi-server queues
• Expansions for Markov-modulated systems and approximations of ruin probability

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